Pricing Claims Under GARCH-Level Dependent Interest Rate Processes
Year of publication: |
2001
|
---|---|
Authors: | Cvsa, V. ; Ritchken, P. |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 47.2001, 12, p. 1693-1711
|
Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Subject: | Option Pricing | GARCH Processes | Interest Rate Claims |
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